MÔ HÌNH RANDOM EFFECT
Random-effects GLS regression Number of obs = 210 Group variable: ID Number of groups = 20
R-sq: within = 0.5343 Obs per group: min = 9
between = 0.1464 avg = 10.5
overall = 0.4423 max = 11
Wald chi2(10) = 200.23
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
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LIQ | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
.0125987 | -3.88 | 0.000 | -.0735143 | -.0241283 | |
CAP | -.1317253 | .1715068 | -0.77 | 0.442 | -.4678724 | .2044218 |
ROA | .033856 | .0122393 | 2.77 | 0.006 | .0098674 | .0578445 |
NIM | .4012291 | 1.127765 | 0.36 | 0.722 | -1.809149 | 2.611607 |
NPL | -.0026602 | .0060354 | -0.44 | 0.659 | -.0144893 | .0091689 |
TATSA | .0029521 .0026057 | 1.13 0.257 | -.002155 .0080592 | |||
CEA | -9.953047 2.322027 | -4.29 0.000 | -14.50414 -5.401958 | |||
GDP | -.0080966 .0153483 | -0.53 0.598 | -.0381787 .0219855 | |||
INF | .0035731 .0011639 | 3.07 0.002 | .001292 .0058542 | |||
ficyes | -.0281296 | .0231192 | -1.22 | 0.224 | -.0734424 | .0171832 |
_cons | .8796263 | .205692 | 4.28 | 0.000 | .4764774 | 1.282775 |
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-------------+----------------------------------------------------------------
sigma_u | .04139831
sigma_e | .08546386
rho | .19004666 (fraction of variance due to u_i)
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MÔ HÌNH FGLS
Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: homoskedastic
Correlation: no autocorrelation
Estimated covariances = 1 Number of obs = 210 Estimated autocorrelations = 0 Number of groups = 20 Estimated coefficients = 11 Obs per group: min = 9
avg = 10.5
max = 11
Wald chi2(10) = 187.52
Log likelihood = 192.0132 Prob > chi2 = 0.0000
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LIQ | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
SIZE | -.0307771 .0117424 -2.62 0.009 -.0537918 -.0077625
CAP | -.1010235 .1713522 -0.59 0.555 -.4368675 .2348206
ROA | .0329076 .0125124 2.63 0.009 .0083837 .0574314
NIM | -1.509231 1.062139 -1.42 0.155 -3.590984 .5725228
NPL | -.0037484 .0060711 -0.62 0.537 -.0156475 .0081508
TATSA | -.0002908 .0019987 -0.15 0.884 -.0042083 .0036266
CEA | -9.263673 2.113001 -4.38 0.000 -13.40508 -5.122267
GDP | .0024375 .0162115 0.15 0.880 -.0293365 .0342115
INF | .0044619 .001253 3.56 0.000 .0020061 .0069178
ficyes | -.0209822 .0246923 -0.85 0.395 -.0693783 .0274138
_cons | .6644023 .2036095 3.26 0.001 .265335 1.06347
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KIỂM ĐỊNH BREUSCH AND PAGAN LAGRANGIAN LỰA CHỌN POOLED HAY REM
Breusch and Pagan Lagrangian multiplier test for random effects LIQ[ID,t] = Xb + u[ID] + e[ID,t]
Estimated results:
| Var sd = sqrt(Var)
---------+----------------------------- LIQ | .0178871 .1337427
e | .0073041 .0854639
u | .0017138 .0413983
Test: Var(u) = 0
chibar2(01) = 22.80 Prob > chibar2 = 0.0000
KIỂM ĐỊNH HAUSMAN TEST LỰA CHỌN FEM HAY REM
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fixed rem Difference S.E.
-------------+----------------------------------------------------------------
-.0652428 | -.0488213 | -.0164215 | .0042622 | |
CAP | | -.1572806 | -.1317253 | -.0255552 | .0217344 |
ROA | | .0351149 | .033856 | .0012589 | . |
NIM | | 2.067408 | .4012291 | 1.666179 | .3527349 |
NPL | | -.0036745 | -.0026602 | -.0010143 | .0012196 |
TATSA | | .0074718 | .0029521 | .0045197 | .0039346 |
CEA | | -9.497462 | -9.953047 | .4555849 | .917176 |
-.0080966 | -.0068699 | . | ||
INF | .0028299 | .0035731 | -.0007432 | . | |
ficyes | -.0328188 | -.0281296 | -.0046892 | . |
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b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic
chi2(10) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 29.44
Prob>chi2 = 0.0011
(V_b-V_B is not positive definite)
KIỂM ĐỊNH WALD TEST
KIỂM ĐỊNH PHƯƠNG SAI THAY ĐỔI CỦA FEM
Modified Wald test for groupwise heteroskedasticity in fixed effect regression model
H0: sigma(i)^2 = sigma^2 for all i chi2 (20) = 234.54
Prob>chi2 = 0.0000